Abstract
This paper assesses and compares the observed returns in the market portfolio with those obtained by an optimization strategy model that maximizes the Sharpe ratio, based on daily returns from the Colombian stock market data. Twelve recommended biannual portfolios are obtained for the period 2007-2012, which are then compared against real stock from the Colombian stock index. The results show the superiority of the strategy of the designed algorithm over the returns obtained in the market portfolio. This shows the inefficiency of the market portfolio and the potential of applying this strategy in other contexts and the possibility of adopting the model in real investment decisions.
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